Multi-Factor Model
Our Multi-Factor model was tested using the Dow 30 Index as a sample universe. Once the model is fully developed, it can be applied to any stock indices or universes.
Objective Function
The goal of the optimization is to find the portfolio weights that minimize the sum of deviations from our target returns and the changes from our base weights.
Constraints
Our model includes constraints to ensure total portfolio weights add up to 1, limit the changes in weights, align portfolio returns with target market returns, manage portfolio risk, and maintain a minimum sectoral allocation.
Variables
The variables we're optimizing in this model are the weights assigned to each ticker in our portfolio.
Ticker Factor Betas
Check out our factor betas for each ticker
Our Team Members
This Multi-Factor Investing Project is done by:
Ethan Ippolito
Maggie Zhou
Class of 2025, majoring in finance and accounting, minor in applied math.
Asim Turk
